Finance

FDMT Move Probability $12.61 -0.51 (-3.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
77.4%
Stock touched +5.0% ($13.24) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.9%
$10.09 — $15.12

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-34.4% to -28.1%: 14 occurrences (2.8%) -31.2% -28.1% to -21.8%: 24 occurrences (4.7%) -21.8% to -15.5%: 49 occurrences (9.6%) -15.5% to -9.2%: 60 occurrences (11.8%) -12.3% -9.2% to -2.9%: 76 occurrences (15.0%) -2.9% to +3.4%: 75 occurrences (14.8%) +3.4% to +9.7%: 59 occurrences (11.6%) 6.6% +9.7% to +16.0%: 38 occurrences (7.5%) +16.0% to +22.3%: 41 occurrences (8.1%) +22.3% to +28.6%: 29 occurrences (5.7%) 25.5% +28.6% to +34.9%: 10 occurrences (2.0%) +34.9% to +41.2%: 8 occurrences (1.6%) +41.2% to +47.5%: 10 occurrences (2.0%) 44.4% +47.5% to +53.8%: 9 occurrences (1.8%) +53.8% to +60.1%: 4 occurrences (0.8%) +60.1% to +66.4%: 2 occurrences (0.4%) 63.3%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 77.4% 38.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.7% Adjusts normal bell curve for real-world skewness (0.44) and kurtosis (4.68).
Standard Normal (Black-Scholes / GBM) 80.7% 40.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.1% 33.0% Filters for historical windows that started with volatility similar to current 20-day HV (182 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.6%
  • Recent 20-Day HV: 55.7%
  • Parkinson Intraday Volatility: 67.1%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +26.9%
  • Bottom 10% Move (10th percentile): -19.8%
  • Max Historical Gain (14d): +66.4%
  • Max Historical Loss (14d): -34.4%